Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0925 |
| Annualized Std Dev | 0.2897 |
| Annualized Sharpe (Rf=0%) | 0.3193 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4515.0000 |
| NAs | 1.0000 |
| Minimum | -0.1617 |
| Quartile 1 | -0.0079 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0093 |
| Maximum | 0.2277 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0183 |
| Skewness | 0.4935 |
| Kurtosis | 17.3736 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0129 |
| Gain Deviation | 0.0136 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.6723 |
| Historical VaR (95%) | -0.0256 |
| Historical ES (95%) | -0.0424 |
| Modified VaR (95%) | -0.0205 |
| Modified ES (95%) | -0.0205 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2021-01-20 | -0.6723 | 3327 | 267 | 3060 |
| 2006-05-10 | 2006-06-13 | 2006-12-04 | -0.2624 | 145 | 24 | 121 |
| 2004-04-13 | 2004-05-17 | 2004-11-04 | -0.2138 | 144 | 25 | 119 |
| 2007-07-24 | 2007-08-16 | 2007-09-21 | -0.1773 | 43 | 18 | 25 |
| 2005-10-04 | 2005-10-20 | 2005-12-01 | -0.1202 | 42 | 13 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | -0.4 | 1.2 | 1.1 | 0.2 | 0.7 | 2.6 | -0.8 | 2.9 | 1.2 | 8.9 |
| 2004 | -0.1 | 2.3 | 0.8 | -2.1 | -0.7 | -1.2 | -0.5 | 0.8 | 1.9 | 0.7 | 0.8 | 0.8 | 3.4 |
| 2005 | 0.9 | 0.3 | 0.6 | 2 | 1.2 | 0.4 | 1.6 | 1.4 | -0.2 | 1.8 | 2.6 | -0.1 | 13.2 |
| 2006 | 0 | 2.8 | -0.2 | 0 | 2 | 0.1 | -1.6 | 1.1 | -0.8 | -1 | -0.4 | -0.2 | 1.7 |
| 2007 | 1.2 | -0.7 | 0 | 0.4 | 2.6 | 0.4 | -0.4 | 2.6 | 3.1 | -4 | 0.8 | -1.2 | 4.8 |
| 2008 | 2 | -4 | 3.8 | 1.1 | 0.3 | -1.8 | -0.7 | -1.2 | 1.2 | -0.9 | -9.6 | 1.3 | -8.6 |
| 2009 | -0.7 | -1.6 | 3.3 | 1.5 | 4.2 | 1.8 | 0.5 | -1.9 | -2.7 | -4.7 | 2.9 | 0.3 | 2.5 |
| 2010 | 2.7 | 1.7 | 2.6 | -1.2 | -1.8 | 0.7 | 0.5 | 3.5 | 1.5 | 1.1 | 2.9 | 0.7 | 15.7 |
| 2011 | 2.4 | -1 | 1.6 | 0.6 | -1.8 | 1.2 | -0.1 | -0.5 | -5 | -2.4 | -0.3 | 0.1 | -5.4 |
| 2012 | 2.2 | 0.9 | 0.7 | 0.7 | -2.7 | 4.4 | 0.2 | 1 | 1 | 1.6 | -0.1 | 1.5 | 12 |
| 2013 | 0.7 | 0.2 | -1.1 | -1.1 | -1.8 | 0.3 | 1.8 | 0.8 | 2 | 0 | 1 | 0.8 | 3.6 |
| 2014 | 0.2 | -0.7 | 1.2 | 0.1 | -1.4 | 0.9 | 0.5 | -0.2 | -2 | 0.4 | -1.7 | 0.1 | -2.5 |
| 2015 | -2.7 | -0.1 | 1.2 | 0.6 | -0.4 | -0.1 | 1.1 | -3.9 | 0.5 | 0.2 | 0.8 | -0.3 | -3.1 |
| 2016 | -0.9 | 3.6 | -0.3 | -0.4 | -0.1 | 1 | -0.2 | 0.8 | 0.4 | -0.8 | -1.2 | -0.7 | 1 |
| 2017 | 0.1 | 1.6 | -0.7 | 0.6 | 0.8 | 0.5 | 0.3 | 0.7 | 1.2 | 0.5 | -0.6 | 0.5 | 5.5 |
| 2018 | -1.4 | -0.2 | 2.1 | -0.5 | 1.4 | 1.5 | -0.9 | 0.5 | 0 | 3.6 | -0.1 | -0.5 | 5.7 |
| 2019 | -0.8 | 0.1 | 1.7 | -0.8 | 0.3 | 1.2 | -2 | 0.8 | -0.7 | 1.5 | -1.6 | 0.2 | -0.1 |
| 2020 | -2 | -0.4 | -4.3 | -3.6 | 2.3 | 1.1 | -0.7 | 1.7 | 0.9 | -1.1 | 2 | -0.1 | -4.3 |
| 2021 | 2.7 | 2.7 | 1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-04-11 11.1 SPY 87.2 -0.0041 -0.0121 0.0392 -0.0635 -0.218 -0.416 NA <NA> NA NA NA
2 2003-04-14 11.2 SPY 89.0 0.0207 0.0102 0.0573 -0.0439 -0.196 -0.409 NA <NA> NA NA NA
3 2003-04-15 11.4 SPY 89.8 0.00930 0.018 0.0346 -0.038 -0.207 -0.407 NA <NA> NA NA NA
4 2003-04-16 11.5 SPY 88.2 -0.017 0.014 0.011 -0.0449 -0.219 -0.415 NA <NA> NA NA NA
5 2003-04-17 11.6 SPY 89.6 0.0148 0.0234 0.0182 -0.0267 -0.204 -0.404 NA <NA> NA NA NA
6 2003-04-21 11.6 SPY 89.6 0.001 0.0287 0.017 -0.0111 -0.206 -0.387 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
